金融系统压力:指数化测度及其溢出效应研究

Financial systemic stress:Index construction and spillover effect measurement

2008年全球金融危机的爆发及其冲击促使监管者更多的关注全球金融市场的关联网络特征及金融风险在各金融市场间的传导机制.本文基于全球向量自回归模型(GVAR),从关联网络的视角构建了金融压力溢出效应模型,考察信贷市场、资本市场、外汇市场、债券市场和货币市场等五个金融子市场压力在不同国家和市场间的传导及其动态演变.研究结果表明,美国是全球金融市场中金融压力主要溢出者;发达经济体主要通过其资本市场和货币市场影响我国的信贷市场、资本市场和外汇市场,而新兴经济体金融压力则主要影响我国的债券市场和货币市场.资本市场和货币市场是不同国家和金融子市场间金融压力传染的重要路径.2014年以来国际金融市场压力对我国金融市场的影响远高于金融危机时期,且资本市场和外汇市场所受影响更为显著.

After the recent global financial crisis(GFC) policy markers give more concerns about the transmission of financial risk.Based on the global VAR(GVAR) model,this study investigates the spillover effects of financial stress of credit market,capital market,exchange rate market,bond market,and money market between different countries and different sectors.Our findings confirm that the financial market of US is main financial stress emitter in the global financial market.The financial stress of capital market and money market in advanced economies has more significant impact on the Chinese credit market,capital market,and exchange rate market,while financial stress of emerging economies has spillover effects on Chinese bond market and money market.Capital market and money market are two main channels of the spillover of financial stress.Since 2014,the Chinese financial market is exposed to higher spillover effects of the international financial markets than during the GFC,and capital market and exchange market become more sensitivity to changes.